This paper uses the most recent wave of a nationally representative dataset to examine the factors associated with elderly homeowners' decision to obtain reverse mortgage loans. The findings of this study suggest that very few homeowners participated in the reverse mortgage market, and...

This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985–2012, the empirical analysis documents the joint...

Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs,...

Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been developed to counter this. However, like all insurance types, these strategies are generally costly to implement, and over time can significantly reduce portfolio returns in long...

In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and...

We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using daily returns. The empirical analysis for the U.S. and for Europe shows that (i) past alpha has power in predicting the cross-section of stock returns; (ii) alpha momentum...

The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November-April) than over the summer half of the year (May-October). The vast majority of studies that investigated...

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...